Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0108
Annualized Std Dev 0.1825
Annualized Sharpe (Rf=0%) -0.0592

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1564
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.1758
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0115
Skewness -0.5330
Kurtosis 34.1101

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0086
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.5948
Historical VaR (95%) -0.0156
Historical ES (95%) -0.0270
Modified VaR (95%) -0.0127
Modified ES (95%) -0.0127
From Trough To Depth Length To Trough Recovery
1999-03-22 2008-12-16 NA -0.5948 5537 2452 NA
1999-01-06 1999-01-19 1999-01-29 -0.0217 17 9 8
1999-02-23 1999-02-23 1999-03-11 -0.0217 13 1 12
1999-02-17 1999-02-17 1999-02-22 -0.0072 4 1 3
1999-03-15 1999-03-15 1999-03-17 -0.0072 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 0 -0.7 0.7 0.7 -0.8 0 0 0 -0.9 2.7 -1.9 -0.9
2000 0 0.9 0.9 0.9 0.9 1.7 0 0 0 1.7 2.7 0.9 11
2001 0.1 0.9 -1.2 0.6 0.6 0.7 0.4 -0.2 0.2 2.2 -0.4 2 6
2002 0.3 -0.9 0.7 0.8 0.1 -0.6 1.2 0.4 -0.3 0.7 0.4 -0.1 2.6
2003 0.6 0.4 0.1 0.3 1.6 0.5 1.4 0 1.1 0.8 0.7 0.4 8
2004 0.4 0.5 0 2.6 2.1 0.8 0.4 0.5 0.8 -0.3 0 0.3 8.4
2005 0.5 -0.1 2.9 0.1 0.5 0.8 0.1 1.3 -0.1 0.2 0.4 2.1 9.1
2006 -0.7 -0.2 0.4 0.2 1.1 -0.3 -0.9 0.7 -0.4 0.2 -0.7 -0.4 -0.8
2007 -0.2 0 0.4 0.6 0.1 0.1 0.3 -0.1 1.6 0.3 0.6 -0.6 2.9
2008 1.1 -1.8 -0.1 -1.3 0.3 0 -0.1 -0.8 6.8 -2.2 0.4 2 4
2009 1.8 0.6 2.5 0.7 0.5 1.1 -1.1 2.3 0.2 -0.9 -0.6 0 7.3
2010 0.4 0.8 0 -1 -0.5 0.1 0.1 0.1 0 -0.8 -2 1.6 -1.1
2011 2.2 0.2 -0.8 0.6 0.3 0.5 0.5 -1 -0.7 -0.4 0.3 0.4 1.9
2012 -0.4 -1.1 0 0.1 -0.9 1.4 0.5 0.3 0.5 -0.4 -0.2 0.9 0.7
2013 -0.7 1.1 0.1 -0.8 -2.3 0.7 -0.5 -0.5 -0.3 -0.6 0 0.8 -2.9
2014 -0.5 0.2 -1.2 0.6 0 0 -0.5 0.5 0.3 -0.3 0 0.3 -0.6
2015 1 0.4 -0.6 0 -0.2 0 0.6 0.3 -0.3 0 -1.2 -1.3 -1.2
2016 0.7 1.6 0.6 0.6 3.3 0.4 0.5 0 0.7 1.7 -1.9 -0.5 7.8
2017 -1.1 -0.1 0.3 0.6 0.1 -0.1 0.5 0.3 0.3 0.4 0.3 0.4 1.8
2018 0.7 0.3 -0.2 0.5 0.5 0.2 1.2 0 0.5 1.7 1.1 -0.3 6.2
2019 0.9 0.6 0.3 0.4 0.6 0.4 0.4 -0.3 0.1 0.2 -0.3 0 3.5
2020 0.3 -3.7 -3.3 -0.3 0.6 0 0.3 0.3 0.9 -0.2 -1.4 1.4 -5.1
2021 0 0.6 0.3 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  8.44 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  8.62 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  8.5  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  8.56 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  8.56 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  8.56 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart